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April, 1981 Construction of a Martingale with Given Absolute Value
M. T. Barlow
Ann. Probab. 9(2): 314-320 (April, 1981). DOI: 10.1214/aop/1176994473


Let $Y$ be a nonnegative submartingale. A martingale $M$ is constructed on an enlarged space, with the property that $Y = |M|$.


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M. T. Barlow. "Construction of a Martingale with Given Absolute Value." Ann. Probab. 9 (2) 314 - 320, April, 1981.


Published: April, 1981
First available in Project Euclid: 19 April 2007

zbMATH: 0484.60037
MathSciNet: MR606994
Digital Object Identifier: 10.1214/aop/1176994473

Primary: 60G45

Keywords: martingale , submartingale

Rights: Copyright © 1981 Institute of Mathematical Statistics

Vol.9 • No. 2 • April, 1981
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